********************************************** * * * UNIVERSITY OF SYDNEY * * * * SCHOOL OF MATHEMATICS & STATISTICS * * * * STATISTICS SEMINAR SERIES - 2007 * * * ********************************************** **************************** * SEMINAR NOTICE * **************************** -------------------------------------------------------------------------- Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market Zdravetz Lazarov (University of Western Australia) Friday, 27 April, 2.00pm Carslaw 373 -------------------------------------------------------------------------- In this paper a number of alternative ACD models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating den- sity and interval forecasts, developed by Diebold, Gunther and Tay (1998) and Christofersen (1998), respectively. Our main finding is that the generalized gamma and log-normal distributions for the error terms have similar perfor- mance and perform better that the exponential and Weibull distributions. Ad- ditionally, there seems to be no substantial difference between the standard ACD specification of Engle and Russel (1998) and the log-ACD specification of Bauwens and Giot (2000). This is the joint work with David Allen (ECU), Michael McAleer (UWA) and Shelton Peiris (U of Sydney). --------------------------------------------------------------------------- Please visit: http://www.maths.usyd.edu.au/u/StatSeminar/ for more information about past and coming seminars. Enquiries about the Statistics Seminar: Rafal Kulik, rkuli@maths.usyd.edu.au